Repurchase Agreements

3 Months Ended

Mar. 31, 2013

REPURCHASE AGREEMENTS [Abstract]

Repurchase Agreements

REPURCHASE AGREEMENTS

The following tables present the components of the Company’s repurchase agreements as of March 31, 2013 and December 31, 2012 by the fair value and type of securities pledged as collateral to the repurchase agreements:

	March 31, 2013
Collateral Type	Balance			Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,476,620		0.43	%	$	2,589,965
Agency CMBS	245,723			0.41	%	286,951
Agency CMBS IOs	477,290			1.20	%	599,086
Non-Agency RMBS	7,283			1.85	%	8,289
Non-Agency CMBS	392,609			1.32	%	475,709
Non-Agency CMBS IO	85,720			1.47	%	111,406
Securitization financing bonds	23,566			1.61	%	26,945
Deferred costs	(556		)	n/a		n/a
	$	3,708,255		0.65	%	$	4,098,351

	December 31, 2012
Collateral Type	Balance			Weighted Average Rate		Fair Value of Collateral Pledged
Agency RMBS	$	2,365,982		0.48	%	$	2,458,200
Agency CMBS	248,771			0.47	%	291,445
Agency CMBS IOs	443,540			1.22	%	565,494
Non-Agency RMBS	7,808			1.84	%	9,634
Non-Agency CMBS	382,352			1.34	%	465,306
Non-Agency CMBS IOs	88,221			1.46	%	113,942
Securitization financing bonds	28,113			1.64	%	31,483
Deferred costs	(659		)	n/a		n/a
	$	3,564,128		0.61	%	$	3,935,504

The combined weighted average original term to maturity for the Company’s repurchase agreements was 58 days as of March 31, 2013 and 57 days as of December 31, 2012.  The following table provides a summary of the original maturities as of March 31, 2013 and December 31, 2012:

Original Maturity	March 31, 2013		December 31, 2012
30 days or less	$	1,030,894	$	622,957
31 to 60 days	1,333,963		1,263,105
61 to 90 days	969,050		298,660
Greater than 90 days	374,904		1,380,065
	$	3,708,811	$	3,564,787

As of March 31, 2013, the Company had approximately 17% of its shareholders' equity at risk with Wells Fargo Bank National Association together with its affiliate Wells Fargo Securities, LLC. The borrowings outstanding with that counterparty and its affiliates as of March 31, 2013 were $365,061 with a weighted average borrowing rate of 1.34%. Of the amount outstanding with this counterparty and its affiliate, $200,000 is under a two-year repurchase facility with Wells Fargo Bank National Association, which is the facility's aggregate maximum borrowing capacity and which is set to mature on August 6, 2014, subject to certain early termination provisions contained in the master repurchase agreement. The facility is collateralized primarily by Agency CMBS IO, and its weighted average borrowing rate as of March 31, 2013 was 1.47%. Shareholders' equity at risk did not exceed 10% for any of the Company's other counterparties.

As of March 31, 2013, the Company had repurchase agreement amounts outstanding with 20 of its 29 available counterparties. The Company's counterparties, as set forth in the master repurchase agreement with the counterparty, require the Company to comply with various customary operating and financial covenants, including, but not limited to, minimum net worth, maximum declines in net worth in a given period, and maximum leverage requirements as well as maintaining the Company's REIT status.  In addition, some of the agreements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.  To the extent that the Company fails to comply with the covenants contained in these financing agreements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the master repurchase agreement. The Company was in compliance with all covenants as of March 31, 2013.